| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,373.23% |
| CAGR﹪ | 10.76% | 11.17% |
| Sharpe | 0.77 | 1.14 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.06 |
| Sortino | 1.18 | 1.99 |
| Smart Sortino | 1.1 | 1.85 |
| Sortino/√2 | 0.84 | 1.41 |
| Smart Sortino/√2 | 0.78 | 1.31 |
| Omega | 1.76 | 2.3 |
| Max Drawdown | -50.78% | -24.34% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-07-31 |
| Longest DD Days | 2223 | 913 |
| Volatility (ann.) | 14.76% | 9.72% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.46 |
| Skew | -0.55 | -0.31 |
| Kurtosis | 0.98 | 0.62 |
| Ulcer Performance Index | 211.25 | 630.64 |
| Risk-Adjusted Return | 754.56% | 824.34% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.93% |
| Avg. Win | 3.53% | 2.64% |
| Avg. Loss | -4.13% | -2.4% |
| Win/Loss Ratio | 0.85 | 1.1 |
| Profit Ratio | 0.5 | 0.66 |
| Expected Daily | 0.85% | 0.89% |
| Expected Monthly | 0.85% | 0.89% |
| Expected Yearly | 10.59% | 11.0% |
| Kelly Criterion | 24.25% | 33.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.69% |
| Expected Shortfall (cVaR) | -8.96% | -5.25% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.3 |
| Gain/Pain (1M) | 0.76 | 1.3 |
| Payoff Ratio | 0.85 | 1.1 |
| Profit Factor | 1.76 | 2.3 |
| Common Sense Ratio | 1.85 | 3.07 |
| CPC Index | 0.98 | 1.65 |
| Tail Ratio | 1.05 | 1.33 |
| Outlier Win Ratio | 2.95 | 2.73 |
| Outlier Loss Ratio | 2.93 | 2.94 |
| MTD | -1.05% | -0.74% |
| 3M | 13.91% | 3.19% |
| 6M | 8.94% | 5.47% |
| YTD | 8.94% | 5.47% |
| 1Y | 20.92% | 20.06% |
| 3Y (ann.) | 18.77% | 17.98% |
| 5Y (ann.) | 12.51% | 7.76% |
| 10Y (ann.) | 15.13% | 7.68% |
| All-time (ann.) | 10.76% | 11.17% |
| Best Day | 12.7% | 9.93% |
| Worst Day | -16.52% | -9.44% |
| Best Month | 12.7% | 9.93% |
| Worst Month | -16.52% | -9.44% |
| Best Year | 38.05% | 26.9% |
| Worst Year | -36.79% | -22.18% |
| Avg. Drawdown | -6.27% | -3.74% |
| Avg. Drawdown Days | 122 | 93 |
| Recovery Factor | 7.49 | 15.29 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 11.29 |
| Avg. Up Month | 3.53% | 2.64% |
| Avg. Down Month | -4.13% | -2.4% |
| Win Days | 65.09% | 65.17% |
| Win Month | 65.09% | 65.17% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.36 |
| Alpha | - | 0.07 |
| Correlation | - | 53.91% |
| Treynor Ratio | - | 9499.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 15.70 | 1.80 | + |
| 1994 | 0.40 | -1.37 | -3.45 | - |
| 1995 | 38.05 | 26.81 | 0.70 | - |
| 1996 | 22.50 | 19.35 | 0.86 | - |
| 1997 | 33.48 | 23.55 | 0.70 | - |
| 1998 | 28.69 | 9.87 | 0.34 | - |
| 1999 | 20.39 | 0.55 | 0.03 | - |
| 2000 | -9.74 | 8.56 | -0.88 | + |
| 2001 | -11.76 | 4.38 | -0.37 | + |
| 2002 | -21.58 | 14.49 | -0.67 | + |
| 2003 | 28.18 | 26.32 | 0.93 | - |
| 2004 | 10.70 | 14.93 | 1.40 | + |
| 2005 | 4.83 | 11.87 | 2.46 | + |
| 2006 | 15.85 | 25.31 | 1.60 | + |
| 2007 | 5.15 | 8.57 | 1.67 | + |
| 2008 | -36.79 | 10.67 | -0.29 | + |
| 2009 | 26.35 | 8.08 | 0.31 | - |
| 2010 | 15.06 | 25.13 | 1.67 | + |
| 2011 | 1.89 | 3.48 | 1.83 | + |
| 2012 | 15.99 | 9.57 | 0.60 | - |
| 2013 | 32.31 | 5.93 | 0.18 | - |
| 2014 | 13.46 | 23.98 | 1.78 | + |
| 2015 | 1.23 | 1.36 | 1.10 | + |
| 2016 | 12.00 | 5.56 | 0.46 | - |
| 2017 | 21.71 | 11.98 | 0.55 | - |
| 2018 | -4.57 | -8.02 | 1.76 | - |
| 2019 | 31.22 | 22.60 | 0.72 | - |
| 2020 | 18.33 | 3.67 | 0.20 | - |
| 2021 | 28.73 | 20.92 | 0.73 | - |
| 2022 | -18.18 | -22.18 | 1.22 | - |
| 2023 | 26.18 | 9.94 | 0.38 | - |
| 2024 | 24.89 | 18.90 | 0.76 | - |
| 2025 | 17.72 | 26.90 | 1.52 | + |
| 2026 | 8.94 | 5.47 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -24.34 | 913 |
| 2009-01-31 | 2009-10-31 | -12.13 | 274 |
| 2008-03-31 | 2008-11-30 | -11.56 | 245 |
| 2011-09-30 | 2012-02-29 | -9.44 | 153 |
| 2004-04-30 | 2004-09-30 | -8.80 | 154 |
| 2020-02-29 | 2020-07-31 | -8.43 | 154 |
| 2018-01-31 | 2019-05-31 | -8.02 | 486 |
| 2013-05-31 | 2014-01-31 | -7.96 | 246 |
| 2015-02-28 | 2016-03-31 | -7.79 | 398 |
| 2007-06-30 | 2007-09-30 | -7.54 | 93 |